Job Application - Quantitative Analyst

Interview Sample Question

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Question I

I use daily OHLCV USDJPY data (from 2014-01-01 to 2017-01-20) and application of some models to forecast the highest and lowest price :

  • Auto Arima models
  • Exponential Time Series
  • Univariate Garch models
  • Exponential Weighted Moving Average
  • Monte Carlo Markov Chain
  • Bayesian Time Series
  • Midas

For the staking model, I simply forecast the highest and lowest price, and then :

  • Kelly criterion and using highest or lowest price for closing transaction, otherwise using closing price if the forecasted lowest/highest price is not occur.
  • Placed $100 an each of the forecasted variance value and do the settlement based on the real variance value.

Kindly refer to Binary.com Interview Q1(Alternate link)

Blooper

Here I wrote another extention page for Q1 which is analyse the data from minutes to daily. You are feel free to browse over Binary.com Interview Q1E.

Question II

Question III